Regression Analysis of Multivariate Fractional Data
AbstractThe present article discusses alternative regression models and estimation methods for dealing with multivariate fractional response variables. Both conditional mean models, estimable by quasi-maximum likelihood, and fully parametric models (Dirichlet and Dirichletmultinomial), estimable by maximum likelihood, are considered. A new parameterization is proposed for the parametric models, which accommodates the most common specifications for the conditional mean (e.g., multinomial logit, nested logit, random parameters logit, dogit). The text also discusses at some length the specification analysis of fractional regression models, proposing several tests that can be performed through artificial regressions. Finally, an extensive Monte Carlo study evaluates the finite sample properties of most of the estimators and tests considered.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Evora, CEFAGE-UE (Portugal) in its series CEFAGE-UE Working Papers with number 2013_05.
Length: 44 pages
Date of creation: 2013
Date of revision:
Multivariate fractional data; Quasi-maximum likelihood estimator; Dirichlet regression; Regression-based specification tests.;
Find related papers by JEL classification:
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-09 (All new papers)
- NEP-ECM-2013-03-09 (Econometrics)
- NEP-ORE-2013-03-09 (Operations Research)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Donald W.K. Andrews, 1999.
"Testing When a Parameter Is on the Boundary of the Maintained Hypothesis,"
Cowles Foundation Discussion Papers
1229, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W K, 2001. "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Econometrica, Econometric Society, vol. 69(3), pages 683-734, May.
- Chotikapanich, Duangkamon & Griffiths, William E, 2002.
"Estimating Lorenz Curves Using a Dirichlet Distribution,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(2), pages 290-95, April.
- Chotikapanich, D. & Griffiths, W., 2001. "Estimating Lorenz Curves Using a Dirichlet Distribution," Department of Economics - Working Papers Series 802, The University of Melbourne.
- Duangkamon Chotikapanich & William E. Griffiths, 2000. "Estimating Lorenz Curves Using a Dirichlet Distribution," Econometric Society World Congress 2000 Contributed Papers 1215, Econometric Society.
- Andrew Chesher & J. M. C. Santos Silva, 2002.
"Taste Variation in Discrete Choice Models,"
Review of Economic Studies,
Oxford University Press, vol. 69(1), pages 147-168.
- Mahdi Alkhamisi & Ghadban Khalaf & Ghazi Shukur, 2008. "The effect of fat-tailed error terms on the properties of systemwise RESET test," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(1), pages 101-113.
- Considine, Timothy J & Mount, Timothy D, 1984. "The Use of Linear Logit Models for Dynamic Input Demand Systems," The Review of Economics and Statistics, MIT Press, vol. 66(3), pages 434-43, August.
- Gaundry, Marc J. I. & Dagenais, Marcel G., 1979. "The dogit model," Transportation Research Part B: Methodological, Elsevier, vol. 13(2), pages 105-111, June.
- Dubin, Jeffrey A., 2007. "Valuing intangible assets with a nested logit market share model," Journal of Econometrics, Elsevier, vol. 139(2), pages 285-302, August.
- Fry, Jane M. & Fry, Tim R. L. & McLaren, Keith R., 1996. "The stochastic specification of demand share equations: Restricting budget shares to the unit simplex," Journal of Econometrics, Elsevier, vol. 73(2), pages 377-385, August.
- David Giles & Andrea Keil, 1997. "Applying the RESET test in allocation models: a cautionary note," Applied Economics Letters, Taylor & Francis Journals, vol. 4(6), pages 359-363.
- Silvia Ferrari & Francisco Cribari-Neto, 2004. "Beta Regression for Modelling Rates and Proportions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 31(7), pages 799-815.
- Esmeralda Ramalho & Joquim Ramalho, 2014. "Convenient links for the estimation of hedonic price indexes:the case of unique, infrequently traded assets," CEFAGE-UE Working Papers 2014_01, University of Evora, CEFAGE-UE (Portugal).
- Pandit, Mahesh & Paudel, Krishna P. & Hinson, Roger A., 2013. "Market Channel Analysis of Ornamental Plants using Clustering Procedures," 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida 143067, Southern Agricultural Economics Association.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Pacheco).
If references are entirely missing, you can add them using this form.